public async Task <object> GetTime_LastMarketClose()
{
IAlpacaTradingClient client = null;
try {
if (!String.IsNullOrWhiteSpace(Settings.API_Alpaca_Live_Key) && !String.IsNullOrWhiteSpace(Settings.API_Alpaca_Live_Secret))
{
client = Environments.Live.GetAlpacaTradingClient(new SecretKey(Settings.API_Alpaca_Live_Key, Settings.API_Alpaca_Live_Secret));
}
else if (!String.IsNullOrWhiteSpace(Settings.API_Alpaca_Paper_Key) && !String.IsNullOrWhiteSpace(Settings.API_Alpaca_Paper_Secret))
{
client = Environments.Paper.GetAlpacaTradingClient(new SecretKey(Settings.API_Alpaca_Paper_Key, Settings.API_Alpaca_Paper_Secret));
}
else
{
return(new ArgumentNullException());
}
var calendars = client.ListCalendarAsync(new CalendarRequest().SetInclusiveTimeInterval(DateTime.UtcNow - new TimeSpan(30, 0, 0, 0), DateTime.UtcNow)).Result;
return(calendars.Where(c => c.TradingCloseTimeUtc.CompareTo(DateTime.UtcNow) <= 0).Last().TradingCloseTimeUtc);
} catch (Exception ex) {
await Log.Error($"{MethodBase.GetCurrentMethod().DeclaringType}: {MethodBase.GetCurrentMethod().Name}", ex);
return(ex.Message);
}
}
public async Task <IEnumerable <DateTime> > GetAllTradingHolidays(DateTime?start = null, DateTime?end = null)
{
var startValue = start ?? DateTime.UtcNow;
var endValue = end ?? startValue.AddYears(10);
var tradingDays = (await _alpacaTradingClient.ListCalendarAsync(new CalendarRequest().SetInclusiveTimeInterval(startValue, endValue))).Select(x => x.TradingDateUtc.Date);
var allDays = Enumerable.Range(0, 1 + endValue.Subtract(startValue).Days)
.Select(offset => startValue.AddDays(offset).Date);
return(allDays.Except(tradingDays));
}
public async void ListCalendarWorks()
{
var calendars = await _alpacaTradingClient.ListCalendarAsync(
new CalendarRequest().SetInclusiveTimeInterval(
DateTime.Today.AddDays(-14),
DateTime.Today.AddDays(14)));
Assert.NotNull(calendars);
var calendarsList = calendars.ToList();
Assert.NotEmpty(calendarsList);
var first = calendarsList.First();
var last = calendarsList.Last();
Assert.True(first.TradingDateUtc <= last.TradingDateUtc);
Assert.True(first.TradingOpenTimeUtc < first.TradingCloseTimeUtc);
Assert.True(last.TradingOpenTimeUtc < last.TradingCloseTimeUtc);
}
public async Task Run()
{
alpacaTradingClient = Environments.Paper.GetAlpacaTradingClient(new SecretKey(API_KEY, API_SECRET));
alpacaDataClient = Environments.Paper.GetAlpacaDataClient(new SecretKey(API_KEY, API_SECRET));
// First, cancel any existing orders so they don't impact our buying power.
var orders = await alpacaTradingClient.ListOrdersAsync(new ListOrdersRequest());
foreach (var order in orders)
{
await alpacaTradingClient.DeleteOrderAsync(order.OrderId);
}
// Figure out when the market will close so we can prepare to sell beforehand.
var calendars = (await alpacaTradingClient
.ListCalendarAsync(new CalendarRequest().SetTimeInterval(DateTime.Today.GetInclusiveIntervalFromThat())))
.ToList();
var calendarDate = calendars.First().TradingDateUtc;
var closingTime = calendars.First().TradingCloseTimeUtc;
closingTime = new DateTime(calendarDate.Year, calendarDate.Month, calendarDate.Day, closingTime.Hour, closingTime.Minute, closingTime.Second);
Console.WriteLine("Waiting for market open...");
await AwaitMarketOpen();
Console.WriteLine("Market opened.");
// Check every minute for price updates.
TimeSpan timeUntilClose = closingTime - DateTime.UtcNow;
while (timeUntilClose.TotalMinutes > 15)
{
// Cancel old order if it's not already been filled.
await alpacaTradingClient.DeleteOrderAsync(lastTradeId);
// Get information about current account value.
var account = await alpacaTradingClient.GetAccountAsync();
Decimal buyingPower = account.BuyingPower;
Decimal portfolioValue = account.Equity;
// Get information about our existing position.
Int32 positionQuantity = 0;
Decimal positionValue = 0;
try
{
var currentPosition = await alpacaTradingClient.GetPositionAsync(symbol);
positionQuantity = currentPosition.Quantity;
positionValue = currentPosition.MarketValue;
}
catch (Exception)
{
// No position exists. This exception can be safely ignored.
}
var barSet = await alpacaDataClient.GetBarSetAsync(
new BarSetRequest(symbol, TimeFrame.Minute) { Limit = 20 });
var bars = barSet[symbol].ToList();
Decimal avg = bars.Average(item => item.Close);
Decimal currentPrice = bars.Last().Close;
Decimal diff = avg - currentPrice;
if (diff <= 0)
{
// Above the 20 minute average - exit any existing long position.
if (positionQuantity > 0)
{
Console.WriteLine("Setting position to zero.");
await SubmitOrder(positionQuantity, currentPrice, OrderSide.Sell);
}
else
{
Console.WriteLine("No position to exit.");
}
}
else
{
// Allocate a percent of our portfolio to this position.
Decimal portfolioShare = diff / currentPrice * scale;
Decimal targetPositionValue = portfolioValue * portfolioShare;
Decimal amountToAdd = targetPositionValue - positionValue;
if (amountToAdd > 0)
{
// Buy as many shares as we can without going over amountToAdd.
// Make sure we're not trying to buy more than we can.
if (amountToAdd > buyingPower)
{
amountToAdd = buyingPower;
}
Int32 qtyToBuy = (Int32)(amountToAdd / currentPrice);
await SubmitOrder(qtyToBuy, currentPrice, OrderSide.Buy);
}
else
{
// Sell as many shares as we can without going under amountToAdd.
// Make sure we're not trying to sell more than we have.
amountToAdd *= -1;
Int32 qtyToSell = (Int32)(amountToAdd / currentPrice);
if (qtyToSell > positionQuantity)
{
qtyToSell = positionQuantity;
}
await SubmitOrder(qtyToSell, currentPrice, OrderSide.Sell);
}
}
// Wait another minute.
Thread.Sleep(60000);
timeUntilClose = closingTime - DateTime.UtcNow;
}
Console.WriteLine("Market nearing close; closing position.");
await ClosePositionAtMarket();
}
public async Task Run()
{
alpacaTradingClient = Environments.Paper.GetAlpacaTradingClient(new SecretKey(API_KEY, API_SECRET));
polygonDataClient = Environments.Paper.GetPolygonDataClient(API_KEY);
// Connect to Alpaca's websocket and listen for updates on our orders.
alpacaStreamingClient = Environments.Paper.GetAlpacaStreamingClient(new SecretKey(API_KEY, API_SECRET));
alpacaStreamingClient.ConnectAndAuthenticateAsync().Wait();
alpacaStreamingClient.OnTradeUpdate += HandleTradeUpdate;
// First, cancel any existing orders so they don't impact our buying power.
var orders = await alpacaTradingClient.ListOrdersAsync(new ListOrdersRequest());
foreach (var order in orders)
{
await alpacaTradingClient.DeleteOrderAsync(order.OrderId);
}
// Figure out when the market will close so we can prepare to sell beforehand.
var calendars = (await alpacaTradingClient
.ListCalendarAsync(new CalendarRequest().SetTimeInterval(DateTime.Today.GetInclusiveIntervalFromThat())))
.ToList();
var calendarDate = calendars.First().TradingDateUtc;
var closingTime = calendars.First().TradingCloseTimeUtc;
closingTime = new DateTime(calendarDate.Year, calendarDate.Month, calendarDate.Day, closingTime.Hour, closingTime.Minute, closingTime.Second);
var today = DateTime.Today;
// Get the first group of bars from today if the market has already been open.
var bars = await polygonDataClient.ListAggregatesAsync(
new AggregatesRequest(symbol, new AggregationPeriod(1, AggregationPeriodUnit.Minute))
.SetInclusiveTimeInterval(today, today.AddDays(1)));
var lastBars = bars.Items.Skip(Math.Max(0, bars.Items.Count() - 20));
foreach (var bar in lastBars)
{
if (bar.TimeUtc?.Date == today)
{
closingPrices.Add(bar.Close);
}
}
Console.WriteLine("Waiting for market open...");
await AwaitMarketOpen();
Console.WriteLine("Market opened.");
// Connect to Polygon's websocket and listen for price updates.
polygonStreamingClient = Environments.Live.GetPolygonStreamingClient(API_KEY);
polygonStreamingClient.ConnectAndAuthenticateAsync().Wait();
Console.WriteLine("Polygon client opened.");
polygonStreamingClient.MinuteAggReceived += async(agg) =>
{
// If the market's close to closing, exit position and stop trading.
TimeSpan minutesUntilClose = closingTime - DateTime.UtcNow;
if (minutesUntilClose.TotalMinutes < 15)
{
Console.WriteLine("Reached the end of trading window.");
await ClosePositionAtMarket();
await polygonStreamingClient.DisconnectAsync();
}
else
{
// Decide whether to buy or sell and submit orders.
await HandleMinuteAgg(agg);
}
};
polygonStreamingClient.SubscribeMinuteAgg(symbol);
}
